How to cite this paper
Kırıkkaleli, D., Cağlar, E & Onyibor, K. (2020). Crypto-currency: Empirical evidence from GSADF and wavelet coherence techniques.Accounting, 6(2), 199-208.
Refrences
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Bariviera, A. F., Basgall, M. J., Hasperué, W., & Naiouf, M. (2017). Some stylized facts of the Bitcoin market. Physica A: Statistical Mechanics and its Applications, 484, 82-90.
Baur, D. G., Dimpfl, T., & Kuck, K. (2018). Bitcoin, gold and the US dollar–A replication and extension. Finance Research Letters, 25, 103-110.
Bouri, E., Gupta, R., Lahiani, A., & Shahbaz, M. (2018). Testing for asymmetric nonlinear short-and long-run relationships between bitcoin, aggregate commodity and gold prices. Resources Policy, 57, 224-235.
Cap, C. M. (2018). Cryptocurrency market capitalizations. Retrieved on January, 21, 2018.
Chueng, A., Roca, E., & Su, J. J. (2015). Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices. Applied Economics, 47(23), 2348-2358.
Corbet, S., McHugh, G., & Meegan, A. (2017). The influence of central bank monetary policy announcements on cryptocurrency return volatility. Investment Management & Financial Innovations, 14(4), 60.
Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431.
Dyhrberg, A. H. (2016). Bitcoin, gold and the dollar–A GARCH volatility analysis. Finance Research Letters, 16, 85-92.
Fantazzini, D. (2016). The oil price crash in 2014/15: Was there a (negative) financial bubble?. Energy Policy, 96, 383-396.
Fry, J., & Cheah, E. T. (2016). Negative bubbles and shocks in cryptocurrency markets. International Review of Financial Analysis, 47, 343-352.
Goupillaud, P., Grossmann, A., & Morlet, J. (1984). Cycle-octave and related transforms in seismic signal analysis. Geoexploration, 23(1), 85-102.
Grinsted, A., Moore, J. C., & Jevrejeva, S. (2004). Application of the cross wavelet transform and wavelet coherence to geophysical time series. Nonlinear Processes in Geophysics, 11(5/6), 561-566.
Kristoufek, L. (2013). BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era. Scientific reports, 3, 3415.
Larsen, E. S. (1997). Theories and tests for bubbles (Master's thesis, Universitetet i Tromsø).
Osterrieder, J., & Lorenz, J. (2017). A statistical risk assessment of Bitcoin and its extreme tail behavior. Annals of Financial Economics, 12(01), 1750003.
Pal, D., & Mitra, S. K. (2017). Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis. Energy Economics, 62, 230-239.
Phillips, P.C.B., Shi, S., & Yu, J. (2012) Testing for multiple bubbles. Cowles Foundation Discussion Paper No.1843
Phillips, P. C., Wu, Y., & Yu, J. (2011). Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values?. International Economic Review, 52(1), 201-226.
Phillips, P. C., & Yu, J. (2011). Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics, 2(3), 455-491.
Phillips, P. C., Shi, S., & Yu, J. (2015). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1043-1078.
Phillips, P. C., Wu, Y., & Yu, J. (2011). Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values?. International Economic Review, 52(1), 201-226.
Pichl, L., & Kaizoji, T. (2017). Volatility analysis of bitcoin. Quantitative Finance and Economics, 1, 474-485.
Salhi, B., & Alflayyeh, S. (2016). Impact of Speculation and Bubble Detection in Stock Markets: The Tunisian and the Moroccan Cases. Journal of Management and Strategy, 7(2), 73-89.
Semiromi, B., & Reza, M. (2010). Literatures about asset price bubbles and monetary policies. In International Conference on Applied Economics, ICOAE (Vol. 2010, pp. 695-703).
Su, C. W., Li, Z. Z., Tao, R., & Si, D. K. (2018). Testing for multiple bubbles in bitcoin markets: A generalized sup ADF test. Japan and the World Economy, 46, 56-63.
Urquhart, A., & Zhang, H. (2018). Is Bitcoin a hedge or safe-haven for currencies. An intraday analysis, 1-25.
Torrence, C., & Compo, G. P. (1998). A practical guide to wavelet analysis. Bulletin of the American Meteorological society, 79(1), 61-78.
Bariviera, A. F., Basgall, M. J., Hasperué, W., & Naiouf, M. (2017). Some stylized facts of the Bitcoin market. Physica A: Statistical Mechanics and its Applications, 484, 82-90.
Baur, D. G., Dimpfl, T., & Kuck, K. (2018). Bitcoin, gold and the US dollar–A replication and extension. Finance Research Letters, 25, 103-110.
Bouri, E., Gupta, R., Lahiani, A., & Shahbaz, M. (2018). Testing for asymmetric nonlinear short-and long-run relationships between bitcoin, aggregate commodity and gold prices. Resources Policy, 57, 224-235.
Cap, C. M. (2018). Cryptocurrency market capitalizations. Retrieved on January, 21, 2018.
Chueng, A., Roca, E., & Su, J. J. (2015). Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices. Applied Economics, 47(23), 2348-2358.
Corbet, S., McHugh, G., & Meegan, A. (2017). The influence of central bank monetary policy announcements on cryptocurrency return volatility. Investment Management & Financial Innovations, 14(4), 60.
Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431.
Dyhrberg, A. H. (2016). Bitcoin, gold and the dollar–A GARCH volatility analysis. Finance Research Letters, 16, 85-92.
Fantazzini, D. (2016). The oil price crash in 2014/15: Was there a (negative) financial bubble?. Energy Policy, 96, 383-396.
Fry, J., & Cheah, E. T. (2016). Negative bubbles and shocks in cryptocurrency markets. International Review of Financial Analysis, 47, 343-352.
Goupillaud, P., Grossmann, A., & Morlet, J. (1984). Cycle-octave and related transforms in seismic signal analysis. Geoexploration, 23(1), 85-102.
Grinsted, A., Moore, J. C., & Jevrejeva, S. (2004). Application of the cross wavelet transform and wavelet coherence to geophysical time series. Nonlinear Processes in Geophysics, 11(5/6), 561-566.
Kristoufek, L. (2013). BitCoin meets Google Trends and Wikipedia: Quantifying the relationship between phenomena of the Internet era. Scientific reports, 3, 3415.
Larsen, E. S. (1997). Theories and tests for bubbles (Master's thesis, Universitetet i Tromsø).
Osterrieder, J., & Lorenz, J. (2017). A statistical risk assessment of Bitcoin and its extreme tail behavior. Annals of Financial Economics, 12(01), 1750003.
Pal, D., & Mitra, S. K. (2017). Time-frequency contained co-movement of crude oil and world food prices: A wavelet-based analysis. Energy Economics, 62, 230-239.
Phillips, P.C.B., Shi, S., & Yu, J. (2012) Testing for multiple bubbles. Cowles Foundation Discussion Paper No.1843
Phillips, P. C., Wu, Y., & Yu, J. (2011). Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values?. International Economic Review, 52(1), 201-226.
Phillips, P. C., & Yu, J. (2011). Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics, 2(3), 455-491.
Phillips, P. C., Shi, S., & Yu, J. (2015). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1043-1078.
Phillips, P. C., Wu, Y., & Yu, J. (2011). Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values?. International Economic Review, 52(1), 201-226.
Pichl, L., & Kaizoji, T. (2017). Volatility analysis of bitcoin. Quantitative Finance and Economics, 1, 474-485.
Salhi, B., & Alflayyeh, S. (2016). Impact of Speculation and Bubble Detection in Stock Markets: The Tunisian and the Moroccan Cases. Journal of Management and Strategy, 7(2), 73-89.
Semiromi, B., & Reza, M. (2010). Literatures about asset price bubbles and monetary policies. In International Conference on Applied Economics, ICOAE (Vol. 2010, pp. 695-703).
Su, C. W., Li, Z. Z., Tao, R., & Si, D. K. (2018). Testing for multiple bubbles in bitcoin markets: A generalized sup ADF test. Japan and the World Economy, 46, 56-63.
Urquhart, A., & Zhang, H. (2018). Is Bitcoin a hedge or safe-haven for currencies. An intraday analysis, 1-25.
Torrence, C., & Compo, G. P. (1998). A practical guide to wavelet analysis. Bulletin of the American Meteorological society, 79(1), 61-78.